臺灣博碩士論文加值系統

本文探討股價現值模型長短期非線性行為特色，我們以美國、德國、日本及英國的股票及股利資料,探討基本面上是否具備非線性特性?共整合檢定結果顯示，德國股價對股利具有線性共整合關係，也具有反饋效果；而美國、英國和日本等 3 國股市並未與股票股利存在線性共整合之長期均衡關係，推翻了傳統財務理論上Campbell et al. (1997) 股價現值模型的理論，但是卻可由考慮了變動因素的非線性模型的實證結果得到共整合之長期均衡關係，應證了由 CLM 和 Campbell and Shiller (1988a,1988b) 提出的非線性模型較具解釋能力，突顯了傳統線性模型往往無法捕捉到非線性共整合的特性。因果關係檢定結果顯示，美國和德國由於期間長所以股利對股價存在線性因果關係，也具有反饋效果；而英國避開了第二次的石油危機，由傳統的線性模型找到股利對股價具因果關係，德國股價對股利具有線性共整合關係。另外日本因期間相當短正遇 1990 年第三次石油危機及 1997 年亞洲金融風暴，所以可能受政經因素影響很大，因此沒有因果關係。且我們發現到線性因果關係檢定和非線性因果關係檢定可得到一致性的檢定結果，表示在解釋能力更大的非線性模型下剛好與傳統的線性模型檢定結果一樣，兩者並不衝突，代表傳統的股價現值模型並沒有非線性無法捕捉的部份，所以和多考慮變動因素的非線性模型皆剛好捕捉到相同的因果關係，然而我們依然可由共整合結果推論非線性模型較傳統線性模型具解釋能力，因此由學者及投資者的角度而言，在探討股價基本面影響時，應由加入時間變動因素的非線性模型加以探討，較能捕捉到真實的股價。

1 前言 1

2 理論及文獻回顧 4
2.1 理論模型.......................................................4
2.2 實證文獻.......................................................6

3 實證方法 10
3.1 線性因果關係檢定...............................................10
3.2 非線性共整合檢定...............................................11
3.3 非線性共整合檢定...............................................15

4 實證結果分析 17
4.1 資料來源與說明.................................................17
4.2 線性共整合檢定結果..............................................18
4.3 非線性共整合檢定結果............................................19
4.4 線性因果關係檢定結果............................................19
4.5 非線性因果關係檢定結果..........................................21
4.6 與過去相關文獻對比..............................................22

5 結論與建議 25

參考文獻 27

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